Park, Sungyong; Wang, Wendun; Huang, Naijing - Tinbergen Instituut - 2015
Regarding the asymmetric and leptokurtic behavior of financial data, we propose a new contagion test in the quantile … regression framework that is robust to model misspecification. Unlike conventional correlation-based tests, the proposed quantile … quantile contagion test can detect a contagion effect that is possibly ignored by correlation-based tests. A wide range of …